Saving sessions before a system shutdown

Hello everyone.  I'm not sure I should be asking this question on this
list, but I thought I'd try in case anyone knows something about my
question.  I've configured my system to shutdown at a certain hour every
night (just to save a little electricity while I sleep).  Sometimes I
leave my gnome session logged in and I forget to logout.  I like to save
my session before I logout, but when the system automatically shuts
down, the session is not saved and the next time I log in, all my
windows are gone (except that nautilus opens one window with my home
directory in it).

Does anyone think it's possible to insert some script in /etc/init.d
that might save the session before a shutdown?  In other words is there
some way to save the session(s) (if there are more than one) just before
a shutdown?  I'd appreciate any pointers.  BTW, I'm running gnome 2.20.
Thanks for your answers.

-Jose